IDEAS home Printed from https://ideas.repec.org/a/bla/mathfi/v15y2005i2p261-308.html
   My bibliography  Save this article

Optimal Reinsurance And Dividend Distribution Policies In The Cramér‐Lundberg Model

Author

Listed:
  • Pablo Azcue
  • Nora Muler

Abstract

We consider that the reserve of an insurance company follows a Cramér‐Lundberg process. The management has the possibility of controlling the risk by means of reinsurance. Our aim is to find a dynamic choice of both the reinsurance policy and the dividend distribution strategy that maximizes the cumulative expected discounted dividend payouts. We study the usual cases of excess‐of‐loss and proportional reinsurance as well as the family of all possible reinsurance contracts. We characterize the optimal value function as the smallest viscosity solution of the associated Hamilton‐Jacobi‐Bellman equation and we prove that there exists an optimal band strategy. We also describe the optimal value function for small initial reserves.

Suggested Citation

  • Pablo Azcue & Nora Muler, 2005. "Optimal Reinsurance And Dividend Distribution Policies In The Cramér‐Lundberg Model," Mathematical Finance, Wiley Blackwell, vol. 15(2), pages 261-308, April.
    • Handle: RePEc:bla:mathfi:v:15:y:2005:i:2:p:261-308
    DOI: 10.1111/j.0960-1627.2005.00220.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.0960-1627.2005.00220.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.0960-1627.2005.00220.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:15:y:2005:i:2:p:261-308. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.